Hmm.. When Riley was a baby she walked on a leash but she pulled a lot. Have you ever seen "The Dog Whisperer" on National Geographic? (we have it on demand). His philosophy is to let the dog know you are in charge, maybe your puppy doesn't think you are and therefore doesn't want to listen to you because you aren't making him (I'm assuming this).

What we did with Riley (we went to a very firm obedience school that worked wonders with her) was to walk with a short leash and wear a choke chain or a pinch collar (pinch is more humane). If she is lagging behind, just give her a little correction by pulling her up with a few little tugs, do the opposite if she is pulling. Make her go where you are going. She has to know she is with you, not that you are with her. We did this because Riley is a lab and pretty much all labs need pinch collars, I don't know if the same would be necessary for a little jack russel but I would consider it because if you pull with a regular collar on it can hurt their neck.